Research

Papers in Refereed Journals

Liquidity Risk and the Dynamics of Arbitrage Capital, Journal of Finance,
forthcoming.
(With
Peter Kondor)
Dynamic risk-sharing between CARA hedgers and CRRA arbitrageurs. Arbitrage capital is the single priced
risk factor and can be proxied by aggregate liquidity. Risk premia can increase in capital because arbitrageurs generate
endogenous risk.

Strategic Trading in a Dynamic Noisy Market, Journal of Finance,
2001, 56, 131-171.
Appendix
Risk-sharing between a large investor and competitive market-makers occurs quickly
following a preference shock, but slows down as market makers learn about the shock. Noise traders
slow down learning.

Strategic Trading and Welfare in a Dynamic Market, Review of Economic Studies,
1999, 66, 219-254.
Risk-sharing between N large investors who experience continuous and
privately-observed preference shocks occurs slowly even in the continuous-time limit. The
market converges to efficiency at the rate 1/N,
and not 1/N2as in static models.

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply,
in Elias Albagli, Diego Saravia, and Michael Woodford, eds.: Monetary Policy Through Asset
Markets: Lessons from Unconventional Measures and Implications for an Integrated
World, 2016, Chapter 2, Central Bank of Chile.
(With
Robin Greenwood and
Sam Hanson)
Central-bank announcements about supply have a hump-shaped effect on the yield curve if they are
expected to be undone in the near future but a possibly increasing effect otherwise. Effect operates through risk premia.

Market Liquidity: Theory and Empirical Evidence,
in George Constantinides, Milton Harris, and Rene Stulz, eds.:
Handbook of the Economics of Finance,
2013, Chapter 19.
(With
Jiang Wang)
Survey of theoretical and empirical work on market liquidity, based on a unified model. How to measure
illiquidity, how illiquidity relates to underlying market imperfections, and how it affects asset returns.

Theories of Liquidity, Foundations and Trends in Finance,
2012, 6, 221-317.
(With
Jiang Wang)
Survey of theoretical work on market liquidity. Relative to the Handbook survey (above), there
is no discussion of empirical work but the unified model is analyzed in greater depth.